I lost mine and my family's Indian passports included US visas (issued from Canada) at Toronto, Canada. I replaced our passports. I had reported this to the Police. What is the process of replacing the Visa from Toronto? Do I have to start a brand new application? Or I can walk in to the US consular at Toronto and do the application there?
You will have to start a new application. The consulate will want whatever information you can give about your lost visa. See the State Department's page Lost and Stolen Passports, Visas, and Arrival/Departure Records (Form I-94) for more information. It says in part
Report your Visa Lost/Stolen to the U.S. Embassy or Consulate Abroad
To report your visa lost or stolen, email the Consular Section at the U.S. Embassy or Consulate outside the United States which issued your visa. Go to the U.S. Embassy or Consulate website to locate the email address and contact information. Be sure to include your full name, date of birth, place of birth, address in the United States, and an e-mail address (if available). Specifically state whether the visa was lost or stolen. If you have a copy of the passport or visa, scan and email this to the embassy or consulate. Otherwise, if known, report the category of visa, and the passport number from the lost/stolen visa.
If you have already reported your visa lost/stolen to the U.S. Embassy or Consulate, and then you later find your misplaced visa, then your visa will be invalid for future travel to the United States. Therefore, in that situation you must apply for a new visa at the U.S. Embassy or Consulate.
Applying for a Replacement U.S. Visa
Lost or stolen U.S. visas cannot be replaced in the United States. For replacement of a visa, you must apply in person at a U.S. Embassy or Consulate abroad. When applying for the replacement of a visa, you will need to provide a written account documenting the loss of your passport and visa. Include a copy of the police report.